XML 71 R29.htm IDEA: XBRL DOCUMENT v3.22.1
FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2022
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

March 31, 2022

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

8

$

7,859

$

-

$

-

$

-

$

7,867

Obligations of states, municipalities and political subdivisions

 

-

 

12,426

 

1,087

 

-

 

-

 

13,513

Non-U.S. governments

 

112

 

14,862

 

8

 

-

 

-

 

14,982

Corporate debt

 

-

 

158,884

 

2,744

 

-

 

-

 

161,628

RMBS

 

-

 

15,610

 

8,925

 

-

 

-

 

24,535

CMBS

 

-

 

14,236

 

864

 

-

 

-

 

15,100

CDO/ABS

 

-

 

7,818

 

11,776

 

-

 

-

 

19,594

Total bonds available for sale

 

120

 

231,695

 

25,404

 

-

 

-

 

257,219

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,689

 

-

 

-

 

-

 

1,689

Obligations of states, municipalities and political subdivisions

 

-

 

98

 

-

 

-

 

-

 

98

Non-U.S. governments

 

-

 

85

 

-

 

-

 

-

 

85

Corporate debt

 

-

 

1,081

 

260

 

-

 

-

 

1,341

RMBS

 

-

 

113

 

199

 

-

 

-

 

312

CMBS

 

-

 

284

 

33

 

-

 

-

 

317

CDO/ABS

 

-

 

272

 

2,468

 

-

 

-

 

2,740

Total other bond securities

 

-

 

3,622

 

2,960

 

-

 

-

 

6,582

Equity securities

 

639

 

50

 

6

 

-

 

-

 

695

Other invested assets(b)

 

-

 

145

 

1,935

 

-

 

-

 

2,080

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

3,998

 

4

 

-

 

-

 

4,003

Foreign exchange contracts

 

-

 

1,404

 

-

 

-

 

-

 

1,404

Equity contracts

 

31

 

182

 

190

 

-

 

-

 

403

Commodity contracts

 

-

 

3

 

-

 

-

 

-

 

3

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

14

 

-

 

-

 

14

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,295)

 

(1,877)

 

(5,172)

Total derivative assets

 

32

 

5,587

 

209

 

(3,295)

 

(1,877)

 

656

Short-term investments

 

2,140

 

1,290

 

-

 

-

 

-

 

3,430

Other assets

 

-

 

-

 

108

 

-

 

-

 

108

Separate account assets

 

97,083

 

3,767

 

-

 

-

 

-

 

100,850

Total

$

100,014

$

246,156

$

30,622

$

(3,295)

$

(1,877)

$

371,620

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

50

$

8,030

$

-

$

-

$

8,080

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

2

 

4,402

 

-

 

-

 

-

 

4,404

Foreign exchange contracts

 

-

 

665

 

-

 

-

 

-

 

665

Equity contracts

 

7

 

36

 

12

 

-

 

-

 

55

Credit contracts

 

-

 

13

 

32

 

-

 

-

 

45

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(3,295)

 

(1,478)

 

(4,773)

Total derivative liabilities

 

9

 

5,116

 

44

 

(3,295)

 

(1,478)

 

396

Fortitude Re funds withheld payable

 

-

 

-

 

2,206

 

-

 

-

 

2,206

Long-term debt

 

-

 

1,782

 

-

 

-

 

-

 

1,782

Total

$

9

$

6,948

$

10,280

$

(3,295)

$

(1,478)

$

12,464

December 31, 2021

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

 

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

2,553

$

5,641

$

-

$

-

$

-

$

8,194

Obligations of states, municipalities and political subdivisions

 

-

 

13,096

 

1,431

 

-

 

-

 

14,527

Non-U.S. governments

 

9

 

16,314

 

7

 

-

 

-

 

16,330

Corporate debt

 

-

 

172,967

 

2,641

 

-

 

-

 

175,608

RMBS

 

-

 

16,909

 

10,378

 

-

 

-

 

27,287

CMBS

 

-

 

14,619

 

1,190

 

-

 

-

 

15,809

CDO/ABS

 

-

 

8,232

 

11,215

 

-

 

-

 

19,447

Total bonds available for sale

 

2,562

 

247,778

 

26,862

 

-

 

-

 

277,202

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

-

 

1,750

 

-

 

-

 

-

 

1,750

Obligations of states, municipalities and political subdivisions

 

-

 

97

 

-

 

-

 

-

 

97

Non-U.S. governments

 

-

 

76

 

-

 

-

 

-

 

76

Corporate debt

 

-

 

916

 

134

 

-

 

-

 

1,050

RMBS

 

-

 

215

 

196

 

-

 

-

 

411

CMBS

 

-

 

280

 

35

 

-

 

-

 

315

CDO/ABS

 

-

 

247

 

2,332

 

-

 

-

 

2,579

Total other bond securities

 

-

 

3,581

 

2,697

 

-

 

-

 

6,278

Equity securities

 

669

 

64

 

6

 

-

 

-

 

739

Other invested assets(b)

 

-

 

138

 

1,948

 

-

 

-

 

2,086

Derivative assets(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

3,873

 

-

 

-

 

-

 

3,873

Foreign exchange contracts

 

-

 

1,188

 

1

 

-

 

-

 

1,189

Equity contracts

 

7

 

224

 

450

 

-

 

-

 

681

Commodity contracts

 

-

 

4

 

-

 

-

 

-

 

4

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

13

 

-

 

-

 

13

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,779)

 

(2,139)

 

(4,918)

Total derivative assets

 

7

 

5,289

 

465

 

(2,779)

 

(2,139)

 

843

Short-term investments

 

2,584

 

1,842

 

-

 

-

 

-

 

4,426

Other assets

 

-

 

-

 

114

 

-

 

-

 

114

Separate account assets

 

105,221

 

3,890

 

-

 

-

 

-

 

109,111

Total

$

111,043

$

262,582

$

32,092

$

(2,779)

$

(2,139)

$

400,799

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

54

$

9,682

$

-

$

-

$

9,736

Derivative liabilities(c):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

3,632

 

-

 

-

 

-

 

3,633

Foreign exchange contracts

 

-

 

721

 

-

 

-

 

-

 

721

Equity contracts

 

1

 

46

 

6

 

-

 

-

 

53

Credit contracts

 

-

 

16

 

31

 

-

 

-

 

47

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,779)

 

(1,089)

 

(3,868)

Total derivative liabilities

 

2

 

4,415

 

37

 

(2,779)

 

(1,089)

 

586

Fortitude Re funds withheld payable

 

-

 

-

 

5,922

 

-

 

-

 

5,922

Long-term debt

 

-

 

1,871

 

-

 

-

 

-

 

1,871

Total

$

2

$

6,340

$

15,641

$

(2,779)

$

(1,089)

$

18,115

(a)Represents netting of derivative exposures covered by qualifying master netting agreements.

(b) Excludes investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent), which totaled $9.5 billion and $8.4 billion as of March 31, 2022 and December 31, 2021, respectively.

(c) Presented as part of Other assets and Other liabilities on the Condensed Consolidated Balance Sheets.
Changes in Level 3 recurring fair value measurements (Assets)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

1,431

$

2

$

(285)

$

(61)

$

-

$

-

$

-

$

1,087

$

-

$

(273)

Non-U.S. governments

 

7

 

-

 

-

 

-

 

1

 

-

 

-

 

8

 

-

 

-

Corporate debt

 

2,641

 

(11)

 

(73)

 

177

 

130

 

(120)

 

-

 

2,744

 

-

 

(69)

RMBS

 

10,378

 

130

 

(553)

 

(608)

 

-

 

(422)

 

-

 

8,925

 

-

 

(544)

CMBS

 

1,190

 

8

 

(67)

 

32

 

-

 

(299)

 

-

 

864

 

-

 

(64)

CDO/ABS

 

11,215

 

16

 

(501)

 

545

 

1,115

 

(614)

 

-

 

11,776

 

-

 

(501)

Total bonds available for sale

 

26,862

 

145

 

(1,479)

 

85

 

1,246

 

(1,455)

 

-

 

25,404

 

-

 

(1,451)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

134

 

-

 

-

 

77

 

61

 

(12)

 

-

 

260

 

-

 

-

RMBS

 

196

 

(5)

 

(1)

 

9

 

-

 

-

 

-

 

199

 

(8)

 

-

CMBS

 

35

 

(2)

 

-

 

-

 

-

 

-

 

-

 

33

 

(2)

 

-

CDO/ABS

 

2,332

 

(114)

 

-

 

195

 

57

 

(2)

 

-

 

2,468

 

(161)

 

-

Total other bond securities

 

2,697

 

(121)

 

(1)

 

281

 

118

 

(14)

 

-

 

2,960

 

(171)

 

-

Equity securities

 

6

 

-

 

(1)

 

1

 

-

 

-

 

-

 

6

 

-

 

-

Other invested assets

 

1,948

 

112

 

(4)

 

(15)

 

47

 

(153)

 

-

 

1,935

 

121

 

-

Other assets

 

114

 

-

 

-

 

(6)

 

-

 

-

 

-

 

108

 

-

 

-

Total

$

31,627

$

136

$

(1,485)

$

346

$

1,411

$

(1,622)

$

-

$

30,413

$

(50)

$

(1,451)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,682

$

(1,797)

$

-

$

145

$

-

$

-

$

-

$

8,030

$

1,983

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

(3)

 

-

 

-

 

-

 

(4)

 

1

 

-

Foreign exchange contracts

 

(1)

 

-

 

-

 

1

 

-

 

-

 

-

 

-

 

(1)

 

-

Equity contracts

 

(444)

 

301

 

-

 

(35)

 

-

 

-

 

-

 

(178)

 

(241)

 

-

Credit contracts

 

30

 

1

 

-

 

-

 

-

 

-

 

-

 

31

 

(1)

 

-

Other contracts

 

(13)

 

(18)

 

-

 

17

 

-

 

-

 

-

 

(14)

 

18

 

-

Total derivative liabilities, net(a)

 

(428)

 

283

 

-

 

(20)

 

-

 

-

 

-

 

(165)

 

(224)

 

-

Fortitude Re funds withheld payable

 

5,922

 

(3,318)

 

-

 

(398)

 

-

 

-

 

-

 

2,206

 

3,480

 

-

Total

$

15,176

$

(4,832)

$

-

$

(273)

$

-

$

-

$

-

$

10,071

$

5,239

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

 

Other

 

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,105

$

3

$

(159)

$

(53)

$

-

$

-

$

-

$

1,896

$

-

$

(10)

Non-U.S. governments

 

5

 

-

 

-

 

-

 

1

 

-

 

-

 

6

 

-

 

-

Corporate debt

 

2,349

 

(1)

 

(10)

 

177

 

187

 

(132)

 

-

 

2,570

 

-

 

(159)

RMBS

 

11,694

 

167

 

64

 

(431)

 

-

 

(30)

 

-

 

11,464

 

-

 

(14)

CMBS

 

922

 

9

 

(56)

 

173

 

56

 

-

 

-

 

1,104

 

-

 

(56)

CDO/ABS

 

9,814

 

16

 

(14)

 

(164)

 

454

 

(504)

 

-

 

9,602

 

-

 

64

Total bonds available for sale

 

26,889

 

194

 

(175)

 

(298)

 

698

 

(666)

 

-

 

26,642

 

-

 

(175)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

139

 

3

 

-

 

(16)

 

-

 

-

 

-

 

126

 

(98)

 

-

CMBS

 

47

 

(1)

 

-

 

(6)

 

6

 

-

 

-

 

46

 

(2)

 

-

CDO/ABS

 

2,512

 

(11)

 

-

 

(155)

 

-

 

-

 

-

 

2,346

 

2

 

-

Total other bond securities

 

2,698

 

(9)

 

-

 

(177)

 

6

 

-

 

-

 

2,518

 

(98)

 

-

Equity securities

 

51

 

11

 

3

 

(11)

 

75

 

(1)

 

-

 

128

 

3

 

-

Other invested assets

 

1,827

 

142

 

(6)

 

(66)

 

-

 

-

 

-

 

1,897

 

123

 

-

Other assets

 

113

 

-

 

-

 

-

 

-

 

-

 

-

 

113

 

-

 

-

Total

$

31,578

$

338

$

(178)

$

(552)

$

779

$

(667)

$

-

$

31,298

$

28

$

(175)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

 

Other

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(2,260)

$

-

$

79

$

-

$

-

$

-

$

7,617

$

2,570

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(2)

 

1

 

-

 

1

 

-

 

-

 

-

 

-

 

(1)

 

-

Equity contracts

 

(151)

 

(26)

 

-

 

(85)

 

-

 

40

 

-

 

(222)

 

(118)

 

-

Credit contracts

 

42

 

5

 

-

 

(3)

 

-

 

-

 

-

 

44

 

(3)

 

-

Other contracts

 

(8)

 

(17)

 

-

 

16

 

-

 

-

 

-

 

(9)

 

16

 

-

Total derivative liabilities, net(a)

 

(119)

 

(37)

 

-

 

(71)

 

-

 

40

 

-

 

(187)

 

(106)

 

-

Fortitude Re funds withheld payable

 

6,042

 

(2,382)

 

-

 

(173)

 

-

 

-

 

-

 

3,487

 

2,955

 

-

Total

$

15,721

$

(4,679)

$

-

$

(165)

$

-

$

40

$

-

$

10,917

$

5,419

$

-

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

 
Changes in Level 3 recurring fair value measurements (Liabilities)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

1,431

$

2

$

(285)

$

(61)

$

-

$

-

$

-

$

1,087

$

-

$

(273)

Non-U.S. governments

 

7

 

-

 

-

 

-

 

1

 

-

 

-

 

8

 

-

 

-

Corporate debt

 

2,641

 

(11)

 

(73)

 

177

 

130

 

(120)

 

-

 

2,744

 

-

 

(69)

RMBS

 

10,378

 

130

 

(553)

 

(608)

 

-

 

(422)

 

-

 

8,925

 

-

 

(544)

CMBS

 

1,190

 

8

 

(67)

 

32

 

-

 

(299)

 

-

 

864

 

-

 

(64)

CDO/ABS

 

11,215

 

16

 

(501)

 

545

 

1,115

 

(614)

 

-

 

11,776

 

-

 

(501)

Total bonds available for sale

 

26,862

 

145

 

(1,479)

 

85

 

1,246

 

(1,455)

 

-

 

25,404

 

-

 

(1,451)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

134

 

-

 

-

 

77

 

61

 

(12)

 

-

 

260

 

-

 

-

RMBS

 

196

 

(5)

 

(1)

 

9

 

-

 

-

 

-

 

199

 

(8)

 

-

CMBS

 

35

 

(2)

 

-

 

-

 

-

 

-

 

-

 

33

 

(2)

 

-

CDO/ABS

 

2,332

 

(114)

 

-

 

195

 

57

 

(2)

 

-

 

2,468

 

(161)

 

-

Total other bond securities

 

2,697

 

(121)

 

(1)

 

281

 

118

 

(14)

 

-

 

2,960

 

(171)

 

-

Equity securities

 

6

 

-

 

(1)

 

1

 

-

 

-

 

-

 

6

 

-

 

-

Other invested assets

 

1,948

 

112

 

(4)

 

(15)

 

47

 

(153)

 

-

 

1,935

 

121

 

-

Other assets

 

114

 

-

 

-

 

(6)

 

-

 

-

 

-

 

108

 

-

 

-

Total

$

31,627

$

136

$

(1,485)

$

346

$

1,411

$

(1,622)

$

-

$

30,413

$

(50)

$

(1,451)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

 

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

Other

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,682

$

(1,797)

$

-

$

145

$

-

$

-

$

-

$

8,030

$

1,983

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

(1)

 

-

 

(3)

 

-

 

-

 

-

 

(4)

 

1

 

-

Foreign exchange contracts

 

(1)

 

-

 

-

 

1

 

-

 

-

 

-

 

-

 

(1)

 

-

Equity contracts

 

(444)

 

301

 

-

 

(35)

 

-

 

-

 

-

 

(178)

 

(241)

 

-

Credit contracts

 

30

 

1

 

-

 

-

 

-

 

-

 

-

 

31

 

(1)

 

-

Other contracts

 

(13)

 

(18)

 

-

 

17

 

-

 

-

 

-

 

(14)

 

18

 

-

Total derivative liabilities, net(a)

 

(428)

 

283

 

-

 

(20)

 

-

 

-

 

-

 

(165)

 

(224)

 

-

Fortitude Re funds withheld payable

 

5,922

 

(3,318)

 

-

 

(398)

 

-

 

-

 

-

 

2,206

 

3,480

 

-

Total

$

15,176

$

(4,832)

$

-

$

(273)

$

-

$

-

$

-

$

10,071

$

5,239

$

-

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

Gains

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

(Losses)

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

 

Other

 

of Period

 

at End of Period

 

at End of Period

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,105

$

3

$

(159)

$

(53)

$

-

$

-

$

-

$

1,896

$

-

$

(10)

Non-U.S. governments

 

5

 

-

 

-

 

-

 

1

 

-

 

-

 

6

 

-

 

-

Corporate debt

 

2,349

 

(1)

 

(10)

 

177

 

187

 

(132)

 

-

 

2,570

 

-

 

(159)

RMBS

 

11,694

 

167

 

64

 

(431)

 

-

 

(30)

 

-

 

11,464

 

-

 

(14)

CMBS

 

922

 

9

 

(56)

 

173

 

56

 

-

 

-

 

1,104

 

-

 

(56)

CDO/ABS

 

9,814

 

16

 

(14)

 

(164)

 

454

 

(504)

 

-

 

9,602

 

-

 

64

Total bonds available for sale

 

26,889

 

194

 

(175)

 

(298)

 

698

 

(666)

 

-

 

26,642

 

-

 

(175)

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

139

 

3

 

-

 

(16)

 

-

 

-

 

-

 

126

 

(98)

 

-

CMBS

 

47

 

(1)

 

-

 

(6)

 

6

 

-

 

-

 

46

 

(2)

 

-

CDO/ABS

 

2,512

 

(11)

 

-

 

(155)

 

-

 

-

 

-

 

2,346

 

2

 

-

Total other bond securities

 

2,698

 

(9)

 

-

 

(177)

 

6

 

-

 

-

 

2,518

 

(98)

 

-

Equity securities

 

51

 

11

 

3

 

(11)

 

75

 

(1)

 

-

 

128

 

3

 

-

Other invested assets

 

1,827

 

142

 

(6)

 

(66)

 

-

 

-

 

-

 

1,897

 

123

 

-

Other assets

 

113

 

-

 

-

 

-

 

-

 

-

 

-

 

113

 

-

 

-

Total

$

31,578

$

338

$

(178)

$

(552)

$

779

$

(667)

$

-

$

31,298

$

28

$

(175)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

and

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

Changes in

(Losses) Included in

 

 

 

 

Unrealized

 

 

 

Sales,

 

 

 

 

 

 

 

 

 

Unrealized Gains

Other Comprehensive

 

 

 

 

(Gains)

 

 

 

Issuances

 

 

 

 

 

 

 

 

 

(Losses) Included

 

Income (Loss) for

 

 

Fair Value

 

Losses

 

Other

 

and

 

Gross

 

Gross

 

 

Fair Value

 

in Income on

 

Recurring Level 3

 

 

Beginning

 

Included

Comprehensive

Settlements,

Transfers

Transfers

 

 

 

End

 

Instruments Held

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

 

Net

 

In

 

Out

 

Other

 

of Period

 

at End of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

9,798

$

(2,260)

$

-

$

79

$

-

$

-

$

-

$

7,617

$

2,570

$

-

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(2)

 

1

 

-

 

1

 

-

 

-

 

-

 

-

 

(1)

 

-

Equity contracts

 

(151)

 

(26)

 

-

 

(85)

 

-

 

40

 

-

 

(222)

 

(118)

 

-

Credit contracts

 

42

 

5

 

-

 

(3)

 

-

 

-

 

-

 

44

 

(3)

 

-

Other contracts

 

(8)

 

(17)

 

-

 

16

 

-

 

-

 

-

 

(9)

 

16

 

-

Total derivative liabilities, net(a)

 

(119)

 

(37)

 

-

 

(71)

 

-

 

40

 

-

 

(187)

 

(106)

 

-

Fortitude Re funds withheld payable

 

6,042

 

(2,382)

 

-

 

(173)

 

-

 

-

 

-

 

3,487

 

2,955

 

-

Total

$

15,721

$

(4,679)

$

-

$

(165)

$

-

$

40

$

-

$

10,917

$

5,419

$

-

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
Schedule of net realized and unrealized gains and losses related to Level 3 items

 

 

Net

 

 

 

 

 

 

 

 

Investment

 

Net Realized

 

Other

 

 

(in millions)

 

Income

Gains (Losses)

 

Income

 

Total

Three Months Ended March 31, 2022

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

164

$

(19)

$

-

$

145

Other bond securities

 

(121)

 

-

 

-

 

(121)

Other invested assets

 

112

 

-

 

-

 

112

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

185

$

9

$

-

$

194

Other bond securities

 

(9)

 

-

 

-

 

(9)

Equity securities

 

11

 

-

 

-

 

11

Other invested assets

 

142

 

-

 

-

 

142

 

 

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

Investment

 

Net Realized

 

Other

 

 

(in millions)

 

Income

(Gains) Losses

 

Income

 

Total

Three Months Ended March 31, 2022

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

(1,797)

$

-

$

(1,797)

Derivative liabilities, net

 

-

 

298

 

(15)

 

283

Fortitude Re funds withheld payable

 

-

 

(3,318)

 

-

 

(3,318)

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits*

$

-

$

(2,260)

$

-

$

(2,260)

Derivative liabilities, net

 

-

 

(23)

 

(14)

 

(37)

Fortitude Re funds withheld payable

 

-

 

(2,382)

 

-

 

(2,382)

*Primarily embedded derivatives.
Gross components of purchases, sales, issuances and settlements, net

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Three Months Ended March 31, 2022

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

1

$

(60)

$

(2)

$

(61)

Corporate debt

 

9

 

-

 

168

 

177

RMBS

 

109

 

-

 

(717)

 

(608)

CMBS

 

70

 

-

 

(38)

 

32

CDO/ABS

 

886

 

-

 

(341)

 

545

Total bonds available for sale

 

1,075

 

(60)

 

(930)

 

85

Other bond securities:

 

 

 

 

 

 

 

 

Corporate debt

 

19

 

-

 

58

 

77

RMBS

 

17

 

-

 

(8)

 

9

CDO/ABS

 

323

 

-

 

(128)

 

195

Total other bond securities

 

359

 

-

 

(78)

 

281

Equity securities

 

-

 

-

 

1

 

1

Other invested assets

 

258

 

-

 

(273)

 

(15)

Other assets

 

-

 

-

 

(6)

 

(6)

Total

$

1,692

$

(60)

$

(1,286)

$

346

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

217

$

(72)

$

145

Derivative liabilities, net

 

(85)

 

2

 

63

 

(20)

Fortitude Re funds withheld payable

 

-

 

-

 

(398)

 

(398)

Total

$

(85)

$

219

$

(407)

$

(273)

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

8

$

(20)

$

(41)

$

(53)

Corporate debt

 

741

 

(1)

 

(563)

 

177

RMBS

 

164

 

-

 

(595)

 

(431)

CMBS

 

193

 

-

 

(20)

 

173

CDO/ABS

 

376

 

(49)

 

(491)

 

(164)

Total bonds available for sale

 

1,482

 

(70)

 

(1,710)

 

(298)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

-

 

(16)

 

(16)

CMBS

 

-

 

(6)

 

-

 

(6)

CDO/ABS

 

-

 

(39)

 

(116)

 

(155)

Total other bond securities

 

-

 

(45)

 

(132)

 

(177)

Equity securities

 

-

 

-

 

(11)

 

(11)

Other invested assets

 

198

 

-

 

(264)

 

(66)

Total

$

1,680

$

(115)

$

(2,117)

$

(552)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

191

$

(112)

$

79

Derivative liabilities, net

 

(52)

 

1

 

(20)

 

(71)

Fortitude Re funds withheld payable

 

-

 

-

 

(173)

 

(173)

Total

$

(52)

$

192

$

(305)

$

(165)

(a)There were no issuances during the three-month periods ended March 31, 2022 and 2021.
Significant unobservable inputs used for recurring fair value measurements

 

Fair Value at

 

 

 

 

March 31,

Valuation

 

Range

(in millions)

2022

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,057

Discounted cash flow

Yield

3.70% - 4.49% (4.10%)

 

 

 

 

 

 

Corporate debt

 

2,563

Discounted cash flow

Yield

1.98% - 6.54% (4.26%)

 

 

 

 

 

 

RMBS(a)

 

7,006

Discounted cash flow

Constant prepayment rate

4.90% - 10.37% (7.63%)

 

 

 

 

Loss severity

38.04% - 67.75% (52.90%)

 

 

 

 

Constant default rate

1.23% - 3.47% (2.35%)

 

 

 

 

Yield

3.54% - 5.34% (4.44%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,496

Discounted cash flow

Yield

3.44% - 6.15% (4.79%)

 

 

 

 

 

 

CMBS

 

626

Discounted cash flow

Yield

3.17% - 5.62% (4.40%)

Liabilities(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

Variable annuity guaranteed

 

 

 

 

 

minimum withdrawal benefits

 

 

 

 

 

(GMWB)

 

1,667

Discounted cash flow

Equity volatility

5.85% - 46.25%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

20.00% - 186.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.17% - 1.72%

 

 

 

 

 

 

Fixed Index annuities including

 

 

 

 

 

certain

 

 

 

 

 

GMWB

 

5,673

Discounted cash flow

Base lapse rate

0.50% - 50.00%

 

 

 

 

Dynamic lapse multiplier

20.00% - 186.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

60.00% - 95.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.17% - 1.72%

 

 

 

 

 

 

Indexed life

 

690

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.17% - 1.72%

 

 

Fair Value at

 

 

 

 

 

December 31,

Valuation

 

Range

(in millions)

 

2021

Technique

Unobservable Input(b)

(Weighted Average)(c)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,400

Discounted cash flow

Yield

2.74% - 3.33% (3.06%)

 

 

 

 

 

 

Corporate debt

 

1,561

Discounted cash flow

Yield

2.23% - 7.69% (4.96%)

 

 

 

 

 

 

RMBS(a)

 

9,916

Discounted cash flow

Constant prepayment rate

5.25% - 17.70% (11.47%)

 

 

 

 

Loss severity

26.13% - 71.93% (49.03%)

 

 

 

 

Constant default rate

1.15% - 5.85% (3.50%)

 

 

 

 

Yield

1.69% - 3.97% (2.83%)

 

 

 

 

 

 

CDO/ABS(a)

 

8,229

Discounted cash flow

Yield

1.84% - 4.77% (3.31%)

 

 

 

 

 

 

CMBS

 

580

Discounted cash flow

Yield

1.50% - 5.01% (3.25%)

Liabilities(d):

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

GMWB

 

2,472

Discounted cash flow

Equity volatility

5.95% - 46.65%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

20.00% - 186.00%

 

 

 

 

Mortality multiplier(e)

38.00% - 147.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest rate correlation

20.00% - 40.00%

 

 

 

 

NPA(f)

0.01% - 1.40%

 

 

 

 

 

 

Fixed Index annuities including

 

 

 

 

 

certain

 

 

 

 

 

GMWB

 

6,445

Discounted cash flow

Base lapse rate

0.50% - 50.00%

 

 

 

 

Dynamic lapse multiplier

20.00% - 186.00%

 

 

 

 

Mortality multiplier(e)

24.00% - 180.00%

 

 

 

 

Utilization(g)

60.00% - 95.00%

 

 

 

 

Option budget

0.00% - 4.00%

 

 

 

 

NPA(f)

0.01% - 1.40%

 

 

 

 

 

 

Indexed life

 

765

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

NPA(f)

0.01% - 1.40%

(a) Information received from third-party valuation service providers. The ranges of the unobservable inputs for constant prepayment rate, loss severity and constant default rate relate to each of the individual underlying mortgage loans that comprise the entire portfolio of securities in the RMBS and CDO securitization vehicles and not necessarily to the securitization vehicle bonds (tranches) purchased by us. The ranges of these inputs do not directly correlate to changes in the fair values of the tranches purchased by us, because there are other factors relevant to the fair values of specific tranches owned by us including, but not limited to, purchase price, position in the waterfall, senior versus subordinated position and attachment points.

(b) Represents discount rates, estimates and assumptions that we believe would be used by market participants when valuing these assets and liabilities.

(c) The weighted averaging for fixed maturity securities is based on the estimated fair value of the securities. Because the valuation methodology for embedded derivatives within Policyholder contract deposits uses a range of inputs that vary at the contract level over the cash flow projection period, management believes that presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(d) The Fortitude Re funds withheld payable has been excluded from the above table. As discussed in Note 7, the Fortitude Re funds withheld payable is created through modco and funds withheld reinsurance arrangements where the investments supporting the reinsurance agreements are withheld by, and continue to reside on AIG’s balance sheet. This embedded derivative is valued as a total return swap with reference to the fair value of the invested assets held by AIG. Accordingly, the unobservable inputs utilized in the valuation of the embedded derivative are a component of the invested assets supporting the reinsurance agreements that are held on AIG’s balance sheet.

(e) Mortality inputs are shown as multipliers of the 2012 Individual Annuity Mortality Basic table.

(f) The non-performance risk adjustment (NPA) applied as a spread over risk-free curve for discounting.

(g) The partial withdrawal utilization unobservable input range shown applies only to policies with guaranteed minimum withdrawal benefit riders that are accounted for as an embedded derivative. The total embedded derivative liability at March 31, 2022 and December 31, 2021 was approximately $1.0 billion and $1.2 billion, respectively. The remaining guaranteed minimum riders on the fixed index annuities are valued under the accounting guidance for certain nontraditional long-duration contracts.
Investments in certain entities carried at fair value using net asset value per share

 

 

March 31, 2022

 

December 31, 2021

 

 

 

Fair Value

 

 

 

Fair Value

 

 

 

 

 

Using NAV

 

 

 

Using NAV

 

 

 

 

 

Per Share (or

 

Unfunded

 

Per Share (or

 

Unfunded

(in millions)

Investment Category Includes

 

its equivalent)

Commitments

 

its equivalent)

Commitments

Investment Category

 

 

 

 

 

 

 

 

 

 

Private equity funds:

 

 

 

 

 

 

 

 

 

Leveraged buyout

Debt and/or equity investments made as part of a transaction in which assets of mature companies are acquired from the current shareholders, typically with the use of financial leverage

$

2,993

$

1,979

 

$

2,768

$

1,798

 

 

 

 

 

 

 

 

 

 

 

Real assets

Investments in real estate properties, agricultural and infrastructure assets, including power plants and other energy producing assets

 

1,515

 

613

 

 

904

 

487

 

 

 

 

 

 

 

 

 

 

 

Venture capital

Early-stage, high-potential, growth companies expected to generate a return through an eventual realization event, such as an initial public offering or sale of the company

 

266

 

211

 

 

252

 

201

 

 

 

 

 

 

 

 

 

 

 

Growth equity

Funds that make investments in established companies for the purpose of growing their businesses

 

917

 

67

 

 

914

 

82

 

 

 

 

 

 

 

 

 

 

 

Mezzanine

Funds that make investments in the junior debt and equity securities of leveraged companies

 

566

 

313

 

 

534

 

354

 

 

 

 

 

 

 

 

 

 

 

Other

Includes distressed funds that invest in securities of companies that are in default or under bankruptcy protection, as well as funds that have multi-strategy, and other strategies

 

1,490

 

362

 

 

1,216

 

408

Total private equity funds

 

7,747

 

3,545

 

 

6,588

 

3,330

Hedge funds:

 

 

 

 

 

 

 

 

 

 

Event-driven

Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations

 

484

 

-

 

 

466

 

-

 

 

 

 

 

 

 

 

 

 

 

Long-short

Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk

 

345

 

-

 

 

432

 

-

 

 

 

 

 

 

 

 

 

 

 

Macro

Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions

 

474

 

-

 

 

516

 

-

 

 

 

 

 

 

 

 

 

 

 

Other

Includes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments

 

401

 

-

 

 

416

 

-

Total hedge funds

 

 

1,704

 

-

 

 

1,830

 

-

Total

 

$

9,451

$

3,545

 

$

8,418

$

3,330
Gains or losses related to the eligible instruments for which AIG elected the fair value option

Three Months Ended March 31,

 

 

Gain (Loss)

(in millions)

 

 

 

2022

 

2021

Assets:

 

 

 

 

 

 

Other bond securities(a)

 

 

$

(201)

$

(99)

Alternative investments(b)

 

 

 

398

 

417

Liabilities:

 

 

 

 

 

 

Long-term debt(c)

 

 

 

103

 

71

Total gain

 

 

$

300

$

389

(a) Includes certain securities supporting the funds withheld arrangements with Fortitude Re. For additional information regarding the gains and losses for Other bond securities, see Note 5. For additional information regarding the funds withheld arrangements with Fortitude Re, see Note 7.

(b) Includes certain hedge funds, private equity funds and other investment partnerships.

(c) Includes guaranteed investment agreements (GIAs), notes, bonds and mortgages payable.
Difference between fair values and aggregate contractual principal amounts, fair value option

 

March 31, 2022

 

December 31, 2021

 

 

 

Outstanding

 

 

 

 

 

Outstanding

 

 

(in millions)

Fair Value

Principal Amount

Difference

 

Fair Value

Principal Amount

Difference

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt*

$

1,782

$

1,437

$

345

 

$

1,871

$

1,405

$

466

*Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges

 

 

 

 

Assets at Fair Value

 

Impairment Charges

 

 

 

 

Non-Recurring Basis

 

Three Months Ended March 31,

(in millions)

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

2022

 

2021

March 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 

$

-

$

-

$

-

$

-

 

$

-

$

6

Total

 

 

$

-

$

-

$

-

$

-

 

$

-

$

6

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 

$

-

$

-

$

104

$

104

 

 

 

 

 

Total

 

 

$

-

$

-

$

104

$

104

 

 

 

 

 
Carrying values and estimated fair values of AIG's financial instruments

 

Estimated Fair Value

 

Carrying

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Value

March 31, 2022

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

76

$

47,337

$

47,413

$

47,428

Other invested assets

 

-

 

822

 

6

 

828

 

828

Short-term investments

 

-

 

6,288

 

-

 

6,288

 

6,288

Cash

 

2,537

 

-

 

-

 

2,537

 

2,537

Other assets

 

29

 

11

 

-

 

40

 

40

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

155

 

142,466

 

142,621

 

134,562

Fortitude Re funds withheld payable

 

-

 

-

 

34,275

 

34,275

 

34,275

Other liabilities

 

-

 

3,574

 

-

 

3,574

 

3,574

Long-term debt

 

-

 

22,674

 

330

 

23,004

 

21,790

Debt of consolidated investment entities

 

-

 

3,184

 

3,166

 

6,350

 

6,366

Separate account liabilities - investment contracts

 

-

 

96,097

 

-

 

96,097

 

96,097

December 31, 2021

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

82

$

47,947

$

48,029

$

46,033

Other invested assets

 

-

 

871

 

6

 

877

 

878

Short-term investments

 

-

 

8,931

 

-

 

8,931

 

8,931

Cash

 

2,198

 

-

 

-

 

2,198

 

2,198

Other assets

 

21

 

11

 

-

 

32

 

32

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

169

 

142,974

 

143,143

 

133,043

Fortitude Re funds withheld payable

 

-

 

-

 

34,849

 

34,849

 

34,849

Other liabilities

 

-

 

3,704

 

-

 

3,704

 

3,704

Long-term debt

 

-

 

24,758

 

336

 

25,094

 

21,870

Debt of consolidated investment entities

 

-

 

3,077

 

3,313

 

6,390

 

6,422

Separate account liabilities - investment contracts

 

-

 

104,126

 

-

 

104,126

 

104,126